A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
Year of publication: |
2017
|
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Authors: | Fengler, Matthias R. |
Other Persons: | Härdle, Wolfgang K. (contributor) ; Mammen, Enno (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Faktorenanalyse | Factor analysis | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (43 p) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 6, 2005 erstellt |
Other identifiers: | 10.2139/ssrn.2894437 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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